A semiparametric factor model for CDO surfaces dynamics
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Publication:268745
DOI10.1016/j.jmva.2015.09.002zbMath1381.62268OpenAlexW3123196811MaRDI QIDQ268745
Ostap Okhrin, Barbara Choroś-Tomczyk, Wolfgang Karl Härdle
Publication date: 15 April 2016
Published in: Journal of Multivariate Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jmva.2015.09.002
Inference from stochastic processes and prediction (62M20) Factor analysis and principal components; correspondence analysis (62H25) Estimation in multivariate analysis (62H12) Applications of statistics to actuarial sciences and financial mathematics (62P05) Nonparametric estimation (62G05) Credit risk (91G40)
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